Unit Root Analysis of Traffic Time Series in Toll Highways
Unit Root Analysis of Traffic Time Series in Toll Highways作者机构：Construction Department Madrid Polytechnic University Madrid 28040 Spain
出 版 物：《Journal of Civil Engineering and Architecture》 (土木工程与建筑（英文版）)
年 卷 期：2012年第6卷第12期
页 面：1641-1647页
学科分类：07[理学] 08[工学] 082303[工学-交通运输规划与管理] 0701[理学-数学] 082302[工学-交通信息工程及控制] 070101[理学-基础数学] 0823[工学-交通运输工程]
主 题：Real options unit root analysis investment highway concession traffic.
摘 要：Concession contracts in highways often include some kind of clauses （for example, a minimum traffic guarantee） that allow for better management of the business risks. The value of these clauses may be important and should be added to the total value of the concession. However, in these cases, traditional valuation techniques, like the NPV （net present value） of the project, are insufficient. An alternative methodology for the valuation of highway concession is one based on the real options approach. This methodology is generally built on the assumption of the evolution of traffic volume as a GBM （geometric Brownian motion）, which is the hypothesis analyzed in this paper. First, a description of the methodology used for the analysis of the existence of unit roots （i.e., the hypothesis of non-stationarity） is provided. The Dickey-Fuller approach has been used, which is the most common test for this kind of analysis. Then this methodology is applied to perform a statistical analysis of traffic series in Spanish toll highways. For this purpose, data on the AADT （annual average daily traffic） on a set of highways have been used. The period of analysis is around thirty years in most cases. The main outcome of the research is that the hypothesis that traffic volume follows a GBM process in Spanish toll highways cannot be rejected. This result is robust, and therefore it can be used as a starting point for the application of the real options theory to assess toll highway concessions.
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